Estimation of the Business Cycles - Selected Methodological Problems of the Hodrick-Prescott Filter Application

Kapounek, Svatopluk (2009): Estimation of the Business Cycles - Selected Methodological Problems of the Hodrick-Prescott Filter Application. Published in: Polish Journal of Environmental Studies , Vol. 18, No. 5B (2009): pp. 227-231.

Abstract

The aim of this article is to highlight a number of problems due to a rather „mechanical“ application of the Hodrick-Prescott Filter and its possible implication for the monetary policy decision-making process. The author concludes that HP filter is not able to estimate the potential output, however it could be used as the efficient tool in monetary policy decision making process and its stabilizing function.

• Item Type: MPRA Paper
• Language: English
• Keywords: economic activity indicator, time series, BDS test, stochastic process, non-linearity
• Subjects: C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C51 - Model Construction and Estimation; E - Macroeconomics and Monetary Economics > E3 - Prices, Business Fluctuations, and Cycles > E32 - Business Fluctuations ; Cycles; C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables > C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes

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